ARCH and GARCH Models

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RATS Version 11.1

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RATS 11: Free Trial Version

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GARCH with asymmetric volatility

Last post by timkrause « Fri Jan 27, 2012 12:31 am
Replies: 2
by timkrause » Wed Jan 25, 2012 8:53 pm

2 Replies

5698 Views

Last post by timkrause
Fri Jan 27, 2012 12:31 am
GARCH models on subsamples

Last post by TomDoan « Wed Jan 25, 2012 2:26 pm
Replies: 6
by filonat » Thu Jan 19, 2012 4:14 am

6 Replies

9347 Views

Last post by TomDoan
Wed Jan 25, 2012 2:26 pm
covariance stationarity

Last post by TomDoan « Thu Jan 19, 2012 11:19 am
Replies: 1
by fadimohamed » Wed Jan 18, 2012 1:32 pm

1 Replies

4951 Views

Last post by TomDoan
Thu Jan 19, 2012 11:19 am
GJR(1,1)-m for WTI spot price

Last post by filonat « Mon Jan 09, 2012 10:34 am
Replies: 3
by filonat » Wed Jan 04, 2012 2:58 am

3 Replies

7171 Views

Last post by filonat
Mon Jan 09, 2012 10:34 am
Changing Distribution in MAXIMIZE function

Last post by TomDoan « Mon Dec 19, 2011 5:05 pm
Replies: 6
by yukun » Wed Oct 05, 2011 12:57 pm

6 Replies

10139 Views

Last post by TomDoan
Mon Dec 19, 2011 5:05 pm
nonparametric VAR-GARCH-M codes

Last post by vcerqueira « Wed Dec 14, 2011 5:41 am
Replies: 8
by vcerqueira » Tue Sep 27, 2011 1:35 pm

8 Replies

12495 Views

Last post by vcerqueira
Wed Dec 14, 2011 5:41 am
DCC-GARCH correlation standard errors

Last post by potiv « Wed Dec 07, 2011 5:25 pm

by potiv » Wed Dec 07, 2011 5:25 pm

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Last post by potiv
Wed Dec 07, 2011 5:25 pm
DCC GARCH correlations

Last post by moderator « Tue Nov 29, 2011 1:22 pm
Replies: 1
by alanharper » Mon Nov 28, 2011 8:16 am

1 Replies

6124 Views

Last post by moderator
Tue Nov 29, 2011 1:22 pm
Multivariate GARCH causality testing

Last post by TomDoan « Fri Nov 18, 2011 3:37 pm
Replies: 1
by willb » Fri Nov 18, 2011 2:34 pm

1 Replies

7277 Views

Last post by TomDoan
Fri Nov 18, 2011 3:37 pm
VAR-Multivariate GARCH Programming Help Needed

Last post by moderator « Mon Nov 07, 2011 9:18 am
Replies: 9
by hdhosky » Wed Oct 26, 2011 4:33 am

9 Replies

17878 Views

Last post by moderator
Mon Nov 07, 2011 9:18 am
Test EGARCH vs GJR-GARCH

Last post by TomDoan « Wed Oct 26, 2011 12:12 pm
Replies: 3
by alanharper » Tue Oct 25, 2011 12:46 pm

3 Replies

8402 Views

Last post by TomDoan
Wed Oct 26, 2011 12:12 pm
BEKK Diagnostics

Last post by TomDoan « Sun Oct 09, 2011 8:07 pm
Replies: 11
by luxu1983 » Mon Jan 11, 2010 8:55 am

11 Replies

15982 Views

Last post by TomDoan
Sun Oct 09, 2011 8:07 pm
why get MAT15 in bivariate DCC-GARCH

Last post by TomDoan « Sun Oct 02, 2011 1:00 pm
Replies: 3
by wendyyuan » Fri Sep 30, 2011 2:24 pm

3 Replies

6373 Views

Last post by TomDoan
Sun Oct 02, 2011 1:00 pm
Q_t matrix in garch(...,mv=dcc)

Last post by uli « Tue Sep 06, 2011 11:33 am

by uli » Tue Sep 06, 2011 11:33 am

0 Replies

4702 Views

Last post by uli
Tue Sep 06, 2011 11:33 am
T values are huge, errors very small

Last post by TomDoan « Thu Sep 01, 2011 1:48 pm
Replies: 3
by hardmann » Sat Aug 27, 2011 9:06 pm

3 Replies

7209 Views

Last post by TomDoan
Thu Sep 01, 2011 1:48 pm
Integrated DCC GARCH

Last post by TomDoan « Mon Aug 29, 2011 5:28 pm
Replies: 2
by gemmamc88 » Sun Aug 28, 2011 7:51 am

2 Replies

7167 Views

Last post by TomDoan
Mon Aug 29, 2011 5:28 pm
how to modify DCC

Last post by TomDoan « Mon Aug 22, 2011 1:23 pm
Replies: 7
by UOB-rubick » Thu Aug 18, 2011 12:07 pm

7 Replies

11455 Views

Last post by TomDoan
Mon Aug 22, 2011 1:23 pm
GJR(1,1)-MA(1)-M

Last post by TomDoan « Mon Aug 22, 2011 9:45 am
Replies: 1
by Alepruz » Mon Aug 22, 2011 3:26 am

1 Replies

5780 Views

Last post by TomDoan
Mon Aug 22, 2011 9:45 am
Multivariate GARCH no convergence

Last post by TomDoan « Fri Aug 05, 2011 4:06 pm
Replies: 1
by gemmamc88 » Fri Aug 05, 2011 12:58 pm

1 Replies

6040 Views

Last post by TomDoan
Fri Aug 05, 2011 4:06 pm
Gray Regime Switching GARCH model

Last post by sana « Wed Aug 03, 2011 5:06 am
Replies: 10
by joannytan » Tue Nov 30, 2010 7:46 pm

10 Replies

15667 Views

Last post by sana
Wed Aug 03, 2011 5:06 am
DCC GARCH positive definiteness

Last post by TomDoan « Tue Aug 02, 2011 1:08 pm
Replies: 1
by gemmamc88 » Tue Aug 02, 2011 6:18 am

1 Replies

5391 Views

Last post by TomDoan
Tue Aug 02, 2011 1:08 pm
Markov Switching DCC-GARCH model with exogenous variable

Last post by sana « Tue Aug 02, 2011 7:33 am

by sana » Tue Aug 02, 2011 7:33 am

0 Replies

5379 Views

Last post by sana
Tue Aug 02, 2011 7:33 am
Rolling AR(1)-GARCH(1,1)

Last post by TomDoan « Mon Jul 11, 2011 10:47 am
Replies: 10
by Farid » Tue Jun 21, 2011 11:31 am

10 Replies

14402 Views

Last post by TomDoan
Mon Jul 11, 2011 10:47 am
GARCH with ARMA mean equation

Last post by TomDoan « Wed Jul 06, 2011 9:41 am
Replies: 3
by Farid » Mon Jul 04, 2011 8:55 pm

3 Replies

7038 Views

Last post by TomDoan
Wed Jul 06, 2011 9:41 am
Value-at-Risk Forecasts with AR(1)-GARCH(1,1)

Last post by Farid « Fri Jun 24, 2011 6:45 pm
Replies: 6
by Farid » Thu Jun 23, 2011 2:48 am

6 Replies

9600 Views

Last post by Farid
Fri Jun 24, 2011 6:45 pm

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